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~subject:"European option pricing"
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European option pricing
Volatility
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Volatilität
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Option pricing theory
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Optionspreistheorie
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Stochastic process
21
Stochastischer Prozess
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Theorie
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Theory
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Black-Scholes model
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Black-Scholes-Modell
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Option trading
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Optionsgeschäft
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ARCH model
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Securities trading
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Stochastic volatility
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Wertpapierhandel
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Analysis of variance
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Börsenkurs
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Economists
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Rough Heston model
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Rough volatility
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Share price
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Time series analysis
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implied volatility
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Ökonomen
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Erwartungsbildung
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Estimation theory
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Expectation formation
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Finanzmathematik
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Forecasting model
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Implied volatility
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Friz, Peter K.
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Bayer, Christian
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Gulisashvili, Archil
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Quantitative finance
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Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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